You very much do have to trust them. They make the client you’re using.
If someone injects malicious code into their client, it can transmit your mail unencrypted, or even just transmit your private key. Will they inject malicious code into their own client? Almost definitely not. The chances are basically zero. But if they get hacked and someone else does, then it’s the same result.
Also, unless all email you receive is encrypted with OpenPGP, you’re still trusting ProtonMail to encrypt it for you before they put it in their database.
So yes, you still have to trust them.